Work

On reflected lévy processes with collapse

Year: 2026

Type: article

Abstract: We consider a Lévy process reflected at the origin with additional independent and identically distributed collapses that occur at Poisson epochs, where a collapse is a jump downward to a state which is a random fraction of the state just before the jump. We first study the general case, then specialize to the case where the Lévy process is spectrally positive, and, finally, we specialize further to the two cases where the Lévy process is a Brownian motion and a compound Poisson process with exponential jumps minus a linear slope.

Source: Journal of Applied Probability

DOI: 10.1017/jpr.2026.10073

Authors: Onno J. Boxma, Offer Kella, David Perry

Institutions: Eindhoven University of Technology, Hebrew University of Jerusalem, Holon Institute of Technology

Language: English

Topic: Probability and Risk Models

Subfield: Management Science and Operations Research

Field: Decision Sciences

Domain: Social Sciences

Open Access status: hybrid

Estimated APC paid: $3,550

Funders: Nederlandse Organisatie voor Wetenschappelijk Onderzoek, Israel Science Foundation